TNA (3x Bullish Small Cap) - Big Bet on a Pop in Two Days

Discussion in 'Options' started by livevol_ophir, Aug 19, 2010.

  1. livevol_ophir

    livevol_ophir ET Sponsor

    TNA (Small Cap 3x Leveraged) closed at $38.53 yesterday.

    <img src="">

    The ETF traded over 11,000 options yesterday on total daily average option volume of just 3,552. All but 1,599 contracts were calls. The action was in the August 39 calls where over 7,700 traded; substantially purchases . The Stats Tab and Day's biggest trades snapshots are included (<a href="">in the article</a>).

    The Options Tab (<a href="">in the article</a>) illustrates that the calls were opening (compare OI to trade size). It being three days from expo, that analysis is particularly important. A large close isn't anything at all; a large open is a straight delta bet. This isn't really about gamma, vega or anything else. The calls were purchased for ~$1.50; they closed worth about $0.80. The open is over $1,000,000 in premium.

    Finally, the Charts Tab (6 months) is below (<a href="">in the article</a>). The top portion is the stock price, the bottom is the vol (IV30&#8482 - red vs HV20&#8482 - blue). The yellow shaded area at the very bottom is the IV30&#8482 vs. the HV20&#8482 vol difference.

    I've included the vol chart for completeness, but again, this is just a delta bet at this point. If you're bullish over the next couple of days, you can ride this bet for half off what the initiator paid. I think a purchase of the 39 calls for $0.80 versus a sale of the 40's @ $0.45 for a total debit of $0.35 is an interesting bet (~2:1 maxGain to MaxLoss). Even a 1 x 2 with the 41 calls @ $0.35 could work. That's a $0.10 debit for the 1 x 2. But again, only if you're bullish, this is not a vol bet.

    This is trade analysis, not a recommendation.

    Details, trades, prices, vols, skews, charts here:
  2. Ouch. Calls now worth .05 bid/.15 ask. Big loss unless buyer already sold or big upmove tomorrow/later today! TNA at 35.7 as I type this.

  3. rew


    Now I don't fell quite so stupid when I lose a few hundred dollars on a bad option play.
  4. Im not sure I get the theory behind this. A big position means the person knows more than you? Gamblers come in all sizes and shapes. Is that the theory behind this website?
  5. livevol_ophir

    livevol_ophir ET Sponsor

    I'm posting order flow; usually to go contra or scalp skew, sometimes to be with but at better prices. No theories really.

    Option liquidity and one sided trading can change skew and make trading opportunities. You can see, for example, my post on Yahoo! Finance.
  6. I'm no option investor. Just a simplr trend traderr so forgive me if I don't get it but ate you saying to go contra the skew meaning one should have gone short cause the options were skewed long?
  7. livevol_ophir

    livevol_ophir ET Sponsor

    Assume a skew return to normal; buy low sell high; price discovery can take as much as 30 minutes in thinly traded names.
  8. S2007S


    More like a $4.00 drop or 10% correction in the stock over 2 days.